It takes some time to setup the development environment, as you need to download and install two required cmponents:
So, to set up the development environment you should:
LenMus makefiles expect to find both components, wxWidgest and wxMidi, in folders at the same level than lenmus folder:
some_folder | + lenmus | + wxWidgets260 | + wxMidi
If this were not the case in your machine, you will have to change the makefiles in accordance to your specific needs.